Value at risk for repo interest rate based on TGARCH

There is a great significance to research the interest rate risk on the background of China´s gradual marketization of interest rates. The paper takes the 7 days repo interest rates as the target. First, introduce the calculating method for value at risk. Second, give the sample characters and the dynamic model of the 7 days repo interest rate. Third, using the GARCH and TGARCH model, at 99% confidence level and 95% confidence level, calculate the value at risk and the exception rate for the 7 days repo interest rates. The empirical results show that the value at risk of 7days repo interest rate has positive correlation with the level of interest rates, and whatever at 95% confidence level or at 99% confidence level, both GARCH model and TGARCH model can cover the real forecasting losses, and the exception rate is lower than the significance level.